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Update CI & add black formatter

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Jactus
2020-10-09 14:33:29 +08:00
committed by you-n-g
parent 143f3f985b
commit 7c6e5e822c
26 changed files with 194 additions and 255 deletions
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10
examples/train_and_backtest.py
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@@ -54,9 +54,9 @@ if __name__ == "__main__":
# use default DataHandler
# custom DataHandler, refer to: TODO: DataHandler API url
x_train, y_train, x_validate, y_validate, x_test, y_test = Alpha158(
**DATA_HANDLER_CONFIG
).get_split_data(**TRAINER_CONFIG)
x_train, y_train, x_validate, y_validate, x_test, y_test = Alpha158(**DATA_HANDLER_CONFIG).get_split_data(
**TRAINER_CONFIG
)
MODEL_CONFIG = {
"loss": "mse",
@@ -114,6 +114,8 @@ if __name__ == "__main__":
###################################
analysis = dict()
analysis["excess_return_without_cost"] = risk_analysis(report_normal["return"] - report_normal["bench"])
analysis["excess_return_with_cost"] = risk_analysis(report_normal["return"] - report_normal["bench"] - report_normal["cost"])
analysis["excess_return_with_cost"] = risk_analysis(
report_normal["return"] - report_normal["bench"] - report_normal["cost"]
)
analysis_df = pd.concat(analysis) # type: pd.DataFrame
print(analysis_df)